Transparent PNGs don't cast shadows (in BI)
Select the "jpg" object and uncheck the "cast" option in the shadow tab.



If you want your object to cast a ray traced shadow you must add a ray tracing light (i.e. a sun lamp) and enable her ray trace option.
In your animation you will also have to move the object toward the camera to separate the plane of the object from the plane of the cast shadow.